If you want one sheet of labels for each record in the mail merge data
source, then
a. create the label layout you want in the first label in your sheet
b. "propagate labels" (how to do that depends on the version of Word you
are using)
c. use Alt-F9 to show the field codes n your document
d. select and delete any { NEXT } fields you see
e. merge to a new document - each page of labels should now have the same
address in every cell(i.e. label)
f. as long as you are happy with the results, print the output document.
If that does not make sense or you are doing something completely different,
please say what you are doing and how it is different from the process
suggested in (a) to (f)